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Money Management - assistance or guidance
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Money Management - assistance or guidance

  #1 (permalink)
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Money Management - assistance or guidance

Hi all. First post, but let me just first say that the wealth of information to be found on this forum has been a life-saver many times over the past couple of years.

I'm sure many of you are familiar with the Capstone Trading Systems Money Management algorithms - if not, here is a link to some information about the latest Ninjatrader version released: hxxps://capstonetradingsystems.com/blogs/ninjatrader-money-management-algorithm-examples/version-7-release-for-ninjatrader-money-management-algorithms

The Capstone stuff is very similar to a project that I'm looking to work on over the next few months with money management and turning live trading on and off based on a number of portfolio performance criteria.

Most of my experience in coding for NT7/8 so far has been in regular indicator and strategy development so I'm fairly comfortable in those spaces.

Does anyone have any experience either with the Capstone product, or with doing anything that is conceptually similar?

At the moment the logic I'm thinking of is something along the lines of: Base strategy executes every trade against the sim account only so that performance can be reviewed. Based on the trade-to-trade performance against the sim account, live trading is either turned on or off. If live trading is on, then the same strategy rules are applied to the live trades. The sim account performance continues to be reviewed to determine if we stay live or if we turn live trading off again.

I'm struggling with figuring out just how to pull this together within NT.

Has anyone got any examples or experience of using a strategy that has visibility of trades from multiple accounts? I know individual strategies can be programmed to use either the live account or the sim account, but how to bring both of those together to be managed or controlled from a strategy that has visibility of both?

I'm aware of NT having a "shadow strategy" feature, which also sounds conceptually similar to what I'd like to achieve, but to my knowledge Shadow Strategies are only available via the ATM and not necessarily available to be coded via Ninjascript.

Open to any questions, discussions, comments etc.

Thanks in advance!

Matt


Last edited by poorhatsoap; March 10th, 2018 at 08:09 PM. Reason: Updated title
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  #2 (permalink)
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I worked on a risk module api, but that works alongside NT and not inside NT.
It does read the database files of NT directly in order to keep track of open positions on multiple accounts.

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  #3 (permalink)
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rleplae View Post
I worked on a risk module api, but that works alongside NT and not inside NT.
It does read the database files of NT directly in order to keep track of open positions on multiple accounts.

Thank you for your reply - would it be safe to assume that this method is not necessarily considered supported? There is no API to interface with the database externally to NT is there? Or have I maybe overlooked something?

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Omer עומר / Israel י
 
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poorhatsoap View Post
Thank you for your reply - would it be safe to assume that this method is not necessarily considered supported? There is no API to interface with the database externally to NT is there? Or have I maybe overlooked something?

You are right, but advanced risk management is not supported in any way...
staying in the documented boundaries will not make it possible to build what you have in mind.

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